Huygens Asset Allocation Portfolio Review: 21 November 2024

Thanksgiving Table

Since the last review of the Huygens portfolio I made a few small adjustments in the asset allocation percentages.  I decreased the percentages to Developed International Equities (VEA) and Emerging Markets (VWO).  Those percentages were shifted to VOO, VO, and VB.

Huygens Asset Allocation Model

Below is the current Asset Allocation model for the Huygens.  This portfolio is slowly coming into balance.  The goal is to see each ETF within plus or minus 0.5% of the target percentage.

Huygens Manuel Rebalancing

The shift in the asset allocation percentages leaves VWO well above target.  I don’t plan to sell excess shares.  Rather, I’ll wait on monthly and quarterly dividends to build up those asset classes that are under target.  This month limit orders are in place to add shares to TLT, VEA, VO, and VOO.

To determine what limit order to use I halved the annualized volatility and used that value to set the limit order.  If I recall correctly, the annualized volatility is a three-year average.

Limit order calculation:  For example, the annualized volatility of VOO is 12.2%.  Half of that value is 6.1%.  100% – 6.1% = 93.9%.  If the current price of VOO is $542.90 then the limit order is 0.939 x $542.90 = $509.80.

Huygens Performance Data

Since 12/31/2021 the Huygens is outpacing the AOR benchmark, but not close to the SPY benchmark.

Huygens Risk Ratios

Compared to values from November of 2023, the Huygens is performing very well.  The Jensen Alpha value is very high at 2.05, although it dipped slightly since October.  In another six months to a year we will have a much better idea how the Asset Allocation model is working.

2025 will be a real test for all portfolio models followed here at ITA.

Huygens Asset Allocation Portfolio Review: 10 April 2024